Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3328 |
| Annualized Std Dev | 0.6620 |
| Annualized Sharpe (Rf=0%) | -0.5028 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3362.0000 |
| NAs | 1.0000 |
| Minimum | -0.3514 |
| Quartile 1 | -0.0197 |
| Median | -0.0006 |
| Arithmetic Mean | -0.0007 |
| Geometric Mean | -0.0016 |
| Quartile 3 | 0.0181 |
| Maximum | 0.2901 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0021 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0017 |
| Stdev | 0.0417 |
| Skewness | -0.3977 |
| Kurtosis | 9.8198 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0300 |
| Gain Deviation | 0.0305 |
| Loss Deviation | 0.0323 |
| Downside Deviation (MAR=210%) | 0.0345 |
| Downside Deviation (Rf=0%) | 0.0303 |
| Downside Deviation (0%) | 0.0303 |
| Maximum Drawdown | 0.9984 |
| Historical VaR (95%) | -0.0568 |
| Historical ES (95%) | -0.1002 |
| Modified VaR (95%) | -0.0656 |
| Modified ES (95%) | -0.1226 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-10-28 | 2021-02-17 | NA | -0.9984 | 3120 | 3097 | NA |
| 2008-03-20 | 2008-05-06 | 2008-09-15 | -0.4831 | 124 | 33 | 91 |
| 2008-10-10 | 2008-10-13 | 2008-10-27 | -0.4629 | 12 | 2 | 10 |
| 2008-09-18 | 2008-09-19 | 2008-10-09 | -0.4271 | 16 | 2 | 14 |
| 2007-11-13 | 2007-12-06 | 2008-01-17 | -0.3323 | 45 | 17 | 28 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.7 | 1.8 | 0.1 |
| 2008 | -9.1 | 5.8 | -13.1 | -3.4 | 0.2 | 1.7 | -3.4 | 1.4 | -1.6 | 2.3 | 14.8 | -3.8 | -10.6 |
| 2009 | -4.7 | 3.8 | -5.3 | -1.6 | -11.9 | -1.7 | 1.2 | 4.7 | 6 | 6.8 | -5.3 | -1.2 | -10.5 |
| 2010 | -6.3 | -5.1 | -5.5 | 0.8 | 4.4 | -1.4 | -0.7 | -5.2 | -1.5 | -1.9 | -5.3 | -1.9 | -26.2 |
| 2011 | -1.4 | 1.5 | -2.5 | 0.3 | 3.8 | -1.7 | 0.5 | 2.7 | 12.7 | 2.8 | -1.8 | -0.2 | 17.1 |
| 2012 | -3.2 | -0.5 | -2 | -2.5 | 4.6 | -7.3 | -0.7 | -0.7 | -1.8 | -5.2 | -1.5 | -4.7 | -22.9 |
| 2013 | -1.8 | 2.3 | 2.1 | 3 | 4.2 | -0.1 | -3.8 | -0.1 | -3 | -1.7 | 0.3 | -2.1 | -1 |
| 2014 | 0.5 | 1.9 | -0.4 | -0.1 | -1.1 | -1.5 | -1.1 | 0.2 | 4 | -2.5 | 5.2 | -3.4 | 1.5 |
| 2015 | 5.3 | -0.1 | -3.5 | -1.7 | -2.2 | 1.3 | 0.8 | 9.2 | -1.3 | 0.6 | -1.3 | 0.6 | 7.5 |
| 2016 | 4.2 | -7.1 | 0.9 | 3 | 0.9 | -1.4 | 0.5 | -1.6 | -0.9 | -1.4 | 0 | 0.6 | -2.7 |
| 2017 | 0 | -2.1 | 1.7 | -0.4 | -1.9 | -0.6 | -2.4 | -0.3 | -2.2 | -1.4 | 1.8 | -0.5 | -8 |
| 2018 | 2.9 | 0 | -2.9 | 0.1 | -2.5 | -2.8 | 4.3 | -0.4 | -0.9 | -8.4 | -3 | 0.1 | -13.2 |
| 2019 | 1.9 | -2.3 | -2.9 | 1.1 | 0.4 | -2.9 | 4.7 | 0.1 | 0.9 | -4.2 | 5.2 | -0.8 | 0.6 |
| 2020 | 4.7 | -1.6 | 8.3 | 7 | -3.8 | -2.3 | 2 | -2.4 | -2.4 | 2 | -2.1 | -0.8 | 7.9 |
| 2021 | -5.5 | -5.1 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -10.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-08 6360 SPY 147. -0.0051 -0.0256 -0.058 1.69e-2 0.0617 0.257 0.582 GLD 82.2 -1.00e-4 0.0552
2 2007-11-09 6555. SPY 145. -0.0137 -0.0401 -0.0664 -6.00e-4 0.0448 0.242 0.599 GLD 82.2 -6.00e-4 0.0294
3 2007-11-12 7440 SPY 144. -0.0099 -0.0423 -0.0808 4.80e-3 0.0399 0.228 0.603 GLD 78.3 -4.72e-2 -0.0182
4 2007-11-13 6228 SPY 148. 0.0305 -0.0262 -0.0447 4.99e-2 0.0712 0.256 0.678 GLD 79.1 1.05e-2 -0.0284
5 2007-11-14 5952 SPY 148. -0.0028 -0.0016 -0.0397 3.92e-2 0.0656 0.243 0.66 GLD 80.3 1.47e-2 -0.0238
6 2007-11-15 6144 SPY 146. -0.0144 -0.011 -0.0565 5.70e-3 0.0424 0.226 0.634 GLD 78.0 -2.90e-2 -0.052
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
